Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0639 |
| Annualized Std Dev | 0.2683 |
| Annualized Sharpe (Rf=0%) | 0.2382 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5166.0000 |
| NAs | 1.0000 |
| Minimum | -0.1347 |
| Quartile 1 | -0.0074 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0086 |
| Maximum | 0.1294 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0169 |
| Skewness | -0.3229 |
| Kurtosis | 6.8115 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0123 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0130 |
| Downside Deviation (MAR=210%) | 0.0167 |
| Downside Deviation (Rf=0%) | 0.0121 |
| Downside Deviation (0%) | 0.0121 |
| Maximum Drawdown | 0.6813 |
| Historical VaR (95%) | -0.0255 |
| Historical ES (95%) | -0.0405 |
| Modified VaR (95%) | -0.0266 |
| Modified ES (95%) | -0.0490 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-19 | 2009-03-02 | 2017-02-21 | -0.6813 | 2184 | 176 | 2008 |
| 2018-01-29 | 2020-03-23 | 2020-11-09 | -0.4481 | 702 | 541 | 161 |
| 2001-05-22 | 2002-10-09 | 2003-12-04 | -0.3251 | 635 | 344 | 291 |
| 2006-05-10 | 2006-06-13 | 2007-01-31 | -0.1768 | 183 | 24 | 159 |
| 2000-09-07 | 2000-09-27 | 2000-12-04 | -0.1734 | 51 | 11 | 40 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | 1.6 | 2 | -0.2 | 2 | -1.4 | 4 | -1 | 7.2 |
| 2001 | 0.5 | -1.1 | 0.4 | -0.3 | -0.4 | 1.5 | -0.5 | 1.2 | -2.8 | 2 | 1.3 | 0.2 | 2 |
| 2002 | -0.2 | 1.3 | -1 | 0.7 | 0.9 | -0.5 | -0.1 | 1.3 | 6 | 2.5 | 1.5 | 0.4 | 13.4 |
| 2003 | 0.9 | 0.2 | 0.4 | -0.8 | 1.8 | 0 | -0.9 | -0.2 | 1.7 | -0.3 | 2.8 | 0 | 5.6 |
| 2004 | 1 | 1.4 | 0.4 | -0.3 | 0.2 | -1.9 | -0.4 | 0.2 | 0.6 | 0.2 | 1.2 | -0.1 | 2.5 |
| 2005 | 0.9 | -0.2 | -0.1 | 2 | 1.8 | 0 | -0.2 | 0.3 | 0.8 | 0.4 | 1.8 | -0.8 | 7 |
| 2006 | 0.3 | 1.3 | -0.4 | 1.2 | 1.3 | 0.8 | -0.9 | 1 | -0.6 | -1.1 | -0.7 | -0.7 | 1.6 |
| 2007 | 0.9 | -0.8 | -0.1 | -0.7 | 1.3 | 0.6 | -0.2 | 1.3 | 1.5 | -3.4 | 0.7 | -0.7 | 0.3 |
| 2008 | 2.6 | -3.6 | 2 | -0.8 | 1.2 | -1 | -2.8 | -1 | -2 | 1.4 | -10.6 | 2 | -12.6 |
| 2009 | -4.1 | -0.5 | 3.8 | 1.6 | 4.3 | 0 | 1.9 | -2.8 | -4.3 | -3.9 | 1.5 | -1.1 | -3.9 |
| 2010 | 4.6 | 2.1 | 1.9 | -2.1 | -3.8 | -0.6 | 0.7 | 3.4 | 1.5 | 0.2 | 2.7 | 0.1 | 11 |
| 2011 | 2.8 | -2 | 0.2 | 0.6 | -3 | 1 | -0.1 | -1.6 | -3.6 | -3 | -0.6 | 0.1 | -9 |
| 2012 | 1.3 | 0.9 | 0.3 | 0.7 | -2 | 3 | -0.1 | 1.2 | 0.5 | 2.5 | 0.1 | 2.2 | 10.9 |
| 2013 | 1.3 | -0.4 | -1.4 | -2.1 | -1.2 | 0.9 | 0.6 | -0.3 | 0.4 | -0.1 | 0 | 0.3 | -2 |
| 2014 | -0.5 | 0.3 | 0.7 | -0.5 | -0.2 | 0.2 | 0.1 | 0.2 | -2.5 | 1.9 | -1.1 | -1 | -2.3 |
| 2015 | -0.2 | -0.2 | 0 | 1.7 | -0.1 | 0.2 | -0.4 | -3.5 | 0.8 | 0.1 | 0.6 | -0.7 | -1.7 |
| 2016 | 0.2 | 2.5 | 0.8 | -0.5 | 0.4 | 0.3 | -0.3 | 0.4 | 0.8 | -0.6 | -0.1 | -0.8 | 3.2 |
| 2017 | 0.5 | 1.9 | -0.1 | -0.1 | 1.2 | 0.5 | 0.3 | 0.6 | -0.1 | 0.8 | -0.6 | -0.3 | 4.8 |
| 2018 | -1.2 | -0.6 | 2 | -0.4 | 1.4 | 0.3 | -1.1 | -0.1 | 0.9 | 3.1 | 0.5 | 0.8 | 5.6 |
| 2019 | 0.6 | -0.2 | 1.6 | -1.9 | -1.5 | 0.6 | -1 | 0.8 | -2.3 | 1.8 | -0.4 | 0.7 | -1.4 |
| 2020 | -2.3 | -1.1 | -4.6 | -2.1 | 0.7 | -0.2 | 0.3 | 2.5 | -1.4 | -0.1 | 1.3 | 0.2 | -6.7 |
| 2021 | 1.4 | 2.6 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-06-20 35 SPY 148. -0.0036 0.0023 0.0483 -0.0084 0.107 NA NA <NA> NA NA NA
2 2000-06-22 34.6 SPY 146. -0.015 -0.0171 0.0553 -0.0451 0.103 NA NA <NA> NA NA NA
3 2000-06-23 34.2 SPY 144. -0.0086 -0.0151 0.0294 -0.0598 0.0962 NA NA <NA> NA NA NA
4 2000-06-27 34.8 SPY 145. -0.0074 -0.0188 0.0519 -0.0391 0.0787 NA NA <NA> NA NA NA
5 2000-07-03 33.9 SPY 147. 0.0138 0.0072 -0.0038 -0.0262 0.0567 NA NA <NA> NA NA NA
6 2000-07-14 35.6 SPY 151. 0.0098 0.0213 0.023 0.0485 0.0665 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
